Suppose you are interested in investigating the option price efficiency of Altria Group, Inc. (MO) listed options. You look at options expiring in January of 2021, which is close enough to one quarter for your purposes. You observe the following prices listed for the options (below). Are the options efficiently priced, how do you know (5 pts)? Hint look at a box spread with strikes at $60 and $70. If the options are not priced correctly, ignoring trading costs, what is the arbitrage profits that could be made from the trade? (5 pts) The risk-free rate is Rf = .5% (per quarter, not annual) Contract Name MO190118C00060000 MO190118C00062500 MO190118C00065000 MO190118C00067500 MO190118C00070000 Last Strike Price $60.00 $4.90 $62.50 $3.47 $65.00 $2.35 S67.50 $1.50 $70.00 $0.99 Puts for January 18, 2019 MO190118P00060000 MO190118P00062500 MO1901 18P00065000 MO 190118P00067500 MO190118P00070000 $60.00 $2.20 $62.50 $3.18 $65.00 $5.20 S67.50 $8.05 $70.00 $9.82 Suppose you are interested in investigating the option price efficiency of Altria Group, Inc. (MO) listed options. You look at options expiring in January of 2021, which is close enough to one quarter for your purposes. You observe the following prices listed for the options (below). Are the options efficiently priced, how do you know (5 pts)? Hint look at a box spread with strikes at $60 and $70. If the options are not priced correctly, ignoring trading costs, what is the arbitrage profits that could be made from the trade? (5 pts) The risk-free rate is Rf = .5% (per quarter, not annual) Contract Name MO190118C00060000 MO190118C00062500 MO190118C00065000 MO190118C00067500 MO190118C00070000 Last Strike Price $60.00 $4.90 $62.50 $3.47 $65.00 $2.35 S67.50 $1.50 $70.00 $0.99 Puts for January 18, 2019 MO190118P00060000 MO190118P00062500 MO1901 18P00065000 MO 190118P00067500 MO190118P00070000 $60.00 $2.20 $62.50 $3.18 $65.00 $5.20 S67.50 $8.05 $70.00 $9.82